Does anybody have MATLAB code?regardsroysan13@msn.com

Does anybody have any MATLAB code to value single barrier options under discrete monitoring?cheersroysan13@msn.com

<t> Hi,I am trying to compare the speeds between a trinomial lattice and FFT method to price discretely monitored barrier options.FFT: For example when considering a DOWN and Out Call: * I calculate the pricing kernel given by the underlying asset price process, which consists of three risk neutral ...

<r>Hi,I have searched the whole of the net for the paper by Boyle,Broadie and Glasserman (1997) titled "Monte Carlo Methods for Security pricing", but have had no luck.Does anybody know where I can get this paper?I would really appreciate it if somebody could email it to me if they have it!<EMAIL em...

Hi,I was wondering if you could send me any MATLAB code you have for pricing discrete barrier options.Kind Regardsroysan13@msn.com

<t>I have been told by my supervisor (Dr Ales Cerny) that the Duan Markov chain method should be my benchmark. This method is better than Quadrature, since it is simplistic to implement and it uses the whole underlying asset price distribution instead of approximating the distribution using a polyno...

<t>Hi,I have coded up a quadrature methodology to price discrete barrier options in VBA, but I'm finding it difficult to convert into MATLAB.Could anybody please help.Th VBA Code is attached below:Function vaBarrierDownOutOptionQUAD#(iCallPut%, S#, K#, H#, r#, q#, tyr#, sigma#, nBarr%, ky#)' Uses va...

Hi,I am trying to code the Duan paper to value discrete barrier options, but I dont quite understand how to implement the probability transition matrix.Could anybody give me any hints or tips as to how to code this paper?Thank You

Hi,I was wondering if anybody can give me hints as to how to code up Duan's paper to price discretely monitored barrier options using the Markov chain method.Thanx in advanceRoy